Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1039
Annualized Std Dev 0.2388
Annualized Sharpe (Rf=0%) 0.4353

Row

Daily Return Statistics

Close
Observations 3704.0000
NAs 1.0000
Minimum -0.1426
Quartile 1 -0.0062
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0077
Maximum 0.1086
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0150
Skewness -0.5970
Kurtosis 9.9695

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0102
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0154
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.5196
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0365
Modified VaR (95%) -0.0237
Modified ES (95%) -0.0503
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2010-01-06 -0.5196 537 255 282
2018-09-17 2020-03-23 2020-08-17 -0.4369 483 381 102
2011-07-08 2011-10-03 2012-12-18 -0.2503 365 61 304
2015-08-18 2016-02-11 2017-05-25 -0.2394 447 123 324
2010-04-26 2010-07-06 2010-10-22 -0.1866 127 50 77

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA 0.8 -0.6 1.2 3.3 -1.2 0.8 -0.9 -1.4 -0.8 -1 0
2007 0.4 -0.7 0.4 0 0.4 -0.4 -0.9 1.9 1.2 -2 1.2 0.1 1.5
2008 1.5 -3.5 -0.3 0.9 0.5 0.5 -0.2 -0.7 0 4 -7 1.7 -3
2009 -2.2 -1 1 0.4 4.3 1 0.5 -2.4 -3.4 -3 1.9 -1.2 -4.4
2010 1.7 2.2 1.4 -2.3 -2.9 -0.1 0.7 3.6 -0.3 -0.3 1.6 -0.7 4.6
2011 1.5 -1.6 0.5 0.2 -2.2 1.5 -0.3 -1.7 -3.1 -3.2 0 -0.7 -8.8
2012 1.9 1 -0.1 0.6 -3.4 2.9 -1.1 0.7 -0.6 2.4 -0.4 2 5.8
2013 0.7 -0.2 -1.5 -1.8 -1 1 2.6 -1.6 1.9 0.1 0.2 0.5 0.8
2014 -0.8 -0.1 1.1 0.3 -0.4 1.4 -0.1 1 -2 1.2 -1.8 -1 -1.1
2015 -1.8 -0.3 -0.5 1.6 0.2 0.6 0.7 -2.7 -0.3 -0.1 1.1 -0.6 -2.1
2016 0.4 2.4 0.7 -1 0.4 0 0.2 0 1 -0.7 -1.1 -0.5 1.9
2017 -0.2 1.6 0.4 0.4 1.2 0.4 0.7 0.4 0.3 -0.6 -0.4 -0.5 3.8
2018 0.5 -0.9 2.3 0.6 0.6 0.7 -0.8 0.7 -1.2 1.7 0.7 0.9 6.1
2019 0.5 0.8 1 -1.4 -0.7 0.2 -1.6 -0.1 -1.6 1.9 -0.9 0 -2
2020 -2.1 -1.5 -5.7 -3.6 1.4 -0.3 -0.2 1.1 1.3 -1.9 0.9 0 -10.2
2021 2.1 2.9 1.6 NA NA NA NA NA NA NA NA NA 6.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-03-07  51.0 SPY    128. -0.0016  -0.002    0.0135   0.0088   0.0422    0.546   0.0324 GLD    55.0 -0.0051  -0.02  
2 2006-03-09  50.6 SPY    127. -0.0067  -0.0153   0.0151   0.0044   0.053     0.566   0.0305 GLD    54.2  0.005   -0.0441
3 2006-03-10  51.1 SPY    129.  0.0095  -0.0013   0.0156   0.0199   0.0606    0.597   0.0309 GLD    53.8 -0.0076  -0.0435
4 2006-03-13  51.4 SPY    129.  0.0019   0.0051   0.0191   0.0225   0.0701    0.589   0.0218 GLD    54.3  0.0089  -0.0167
5 2006-03-14  51.2 SPY    130.  0.0105   0.0173   0.028    0.0305   0.0746    0.552   0.0252 GLD    54.9  0.0103  -0.0015
6 2006-03-15  51.8 SPY    131.  0.0045   0.0197   0.0344   0.0341   0.0884    0.554   0.0286 GLD    55.1  0.0046   0.0213
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart